Results 251 to 260 of about 8,480,943 (296)

Effects of interest rate swaps

Journal of Economics and Business, 2001
Abstract In this paper we examine the effect of interest rate swaps on the firm, and identify characteristics of firms that use interest rate swaps, reporting findings consistent with interest rate swaps being used as a risk-reducing instrument. Relative to nonswappers, firms using swaps are more likely to experience decreased cash flow variance in ...
Steven Balsam, Sungsoo Kim
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Hedging with Interest Rate Swap

Journal of Economics, Business and Management, 2013
International ...
Jaffal, H., Rakotondratsimba, Y., Yassine, A.   +2 more
openaire   +3 more sources

The market liquidity of interest rate swaps

The Journal of Financial Market Infrastructures
This paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary policy. IRS constitute the single largest derivatives segment globally. Banks and Pension Funds extensively rely on IRS to hedge interest rate risk.
Boudiaf, Ismael Alexander, Frieden, Immo, Scheicher, Martin   +2 more
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Valuation of credit contingent interest rate swap

Risk and Decision Analysis, 2013
The aim of this paper is to establish a tractable and flexible pricing model for Credit Contingent Interest Rate Swap (CCIRS), which is sensitive to interest rate and credit risk. Intensity-based approach is adopted to construct models for risk-free interest rate and default intensity.
Jin Liang, Yin Xu
openaire   +1 more source

The pricing of interest rate swaps

Journal of Financial Services Research, 1990
Interest rate swaps have become an important tool for financial institutions because they provide a convenient way to reduce interest rate risk. Swaps allow financial institutions to obtain short-term deposits in the local deposit market and then transform these into longer-term liabilities.
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Accounting for Interest Rate Swaps

Journal of Accounting, Auditing & Finance, 1987
There are major accounting issues for both the counterparties and the principal of an interest rate swap transaction. Currently, the market for swaps well exceeds $150 billion, and at this writing there are no explicit accounting standards for such transactions. This paper defines the basic swap transaction and the relevant accounting issues and offers
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Interest Rate Swaps and Corporate Financing Choices

The Journal of Finance, 1992
ABSTRACTThis paper describes the firm's decision to borrow short‐term versus long‐term and shows how the introduction of interest rate swaps affects this choice. The model shows that in the absence of a swap market, interest rate uncertainty can lead firms to substitute long‐term for short‐term financing.
openaire   +1 more source

Interest-Rate Swaps and Arbitrage [PDF]

Finance a uver - Czech Journal of Economics and Finance, 2001
Three approaches toward the determination of fixed swap rates are presented in this article: a swap as a portfolio of bonds with a fixed and floating coupon, a swap as a portfolio of forwards, and a swap as the difference between the cap and the floor (zero-collar). Later in the paper, credit risk is taken in consideration.
openaire  

Interest rate swaps

2023
Bin Wei, Vivian Z. Yue
openaire   +1 more source

Does the Swap-Covered Interest Parity Still Hold in Long-Term Capital Markets After the Financial Crisis? Evidence From Cross-Currency Basis Swaps

International Review of Economics and Finance, 2022
Takahiro Hattori
exaly